The role of palm oil in stabilising the price of vegetable oil market: empirical evidence using MGARCH approach
This paper investigates the dynamic relationship among four major vegetable oils for both the first and second moment using the Multivariate GARCH model under Baba, Engle, Kraft and Kroner (BEKK). The result from the first moment, which is return spillover, shows palm oil emerges as a vital source o...
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| Main Authors: | , , , |
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| Format: | Journal Contribution |
| Language: | English |
| Published: |
2024
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| Subjects: | |
| Online Access: | http://agris.upm.edu.my:8080/dspace/handle/0/23790 |
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